Showing 1 - 10 of 151
In this paper we are interested in Monte Carlo pricing of American options via the Longstaff–Schwartz algorithm. In particular, we show that it is possible to obtain a variance reduction technique based on importance sampling by means of Girsanov theorem. The almost sure convergence of the...
Persistent link: https://www.econbiz.de/10010872936
In this paper we propose a branching aftershock sequence (BASS) model for seismicity. We suggest that the BASS model is … ETAS. We also give a deterministic version of BASS and show that it satisfies Tokunaga side-branching statistics in a …
Persistent link: https://www.econbiz.de/10011060050
multipliers exponentially distributed is investigated in detail. Branching emerges in the curve of generalized dimensions, and …
Persistent link: https://www.econbiz.de/10011061676
We present a stochastic model for the energy loss of low-energy electrons (100 eV) in water in the liquid phase. More precisely, we treat the electrons as independent particles and are thus able to model the time evolution of the kinetic energy of a single electron as a so-called pure jump...
Persistent link: https://www.econbiz.de/10011264552
-probability algorithms currently employed, this study applied Monte Carlo Simulation (MCS) to obtain the probability function of seismic …
Persistent link: https://www.econbiz.de/10011194030
–Emery–Griffiths model on simple-cubic lattice is investigated using mean field theory (MFT) and Monte Carlo simulation (MC). It is found …
Persistent link: https://www.econbiz.de/10010777060
The simulation of the Libor Market Model (LMM) is extensively studied in the framework of quantum finance. The … stochastic drift. The Libor options are studied using both the simulation method and the analytical formula. The caplet price of … simulation is compared with Black’s caplet formula which can be exactly derived from the LMM. The invariance of caplet price for …
Persistent link: https://www.econbiz.de/10010871886
tests are examined in such circumstances. Simulation experiments are undertaken to permit a comparison of the behaviour of …
Persistent link: https://www.econbiz.de/10010872205
The Penna bit-string model of biological aging is implemented on a square lattice. Hence, there is no need to manipulate the population size by the Verhulst factor. Instead, the spatial lattice relations between neighboring individuals are considered. Mortality obtained in the lattice asexual...
Persistent link: https://www.econbiz.de/10010872338
The configurational entropy of straight rigid rods of length k (k-mers) adsorbed on square, honeycomb, and triangular lattices is studied by combining theory and Monte Carlo (MC) simulations in grand canonical and canonical ensembles. Three theoretical models to treat k-mer adsorption on...
Persistent link: https://www.econbiz.de/10010872341